Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0046 |
| Annualized Std Dev | 0.1585 |
| Annualized Sharpe (Rf=0%) | 0.0288 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.1570 |
| Quartile 1 | -0.0035 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0041 |
| Maximum | 0.1844 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0100 |
| Skewness | 0.1525 |
| Kurtosis | 44.8920 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0072 |
| Gain Deviation | 0.0079 |
| Loss Deviation | 0.0086 |
| Downside Deviation (MAR=210%) | 0.0121 |
| Downside Deviation (Rf=0%) | 0.0072 |
| Downside Deviation (0%) | 0.0072 |
| Maximum Drawdown | 0.6508 |
| Historical VaR (95%) | -0.0126 |
| Historical ES (95%) | -0.0236 |
| Modified VaR (95%) | -0.0069 |
| Modified ES (95%) | -0.0069 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2006-12-06 | 2008-12-16 | NA | -0.6508 | 3596 | 511 | NA |
| 1999-01-08 | 2000-03-16 | 2005-01-19 | -0.2717 | 1516 | 300 | 1216 |
| 2005-02-07 | 2005-03-28 | 2005-06-23 | -0.0971 | 96 | 34 | 62 |
| 2006-01-12 | 2006-02-13 | 2006-08-01 | -0.0566 | 139 | 22 | 117 |
| 2005-09-30 | 2005-10-19 | 2005-12-20 | -0.0480 | 57 | 14 | 43 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0 | 0 | 0 | 0.4 | 0 | 0 | 0 | 0 | 0.5 | 0.5 | -0.5 | -1.4 | -0.6 |
| 2000 | 0.5 | -1.5 | 0.5 | -0.5 | 0.5 | 0 | 0 | 0.5 | 0.5 | -0.3 | 2.6 | 0 | 2.9 |
| 2001 | -0.3 | 0.1 | 0.6 | -0.1 | 0.2 | 0.5 | 0 | -0.4 | 0.3 | 0.8 | -0.7 | 0.4 | 1.2 |
| 2002 | 0.2 | -0.2 | -0.7 | -0.1 | 0.7 | 0.9 | 0.4 | 0.7 | -0.1 | -0.1 | 0.4 | 0.1 | 2.2 |
| 2003 | -0.1 | 0 | -0.1 | 0.1 | 0.1 | 0 | -0.1 | 0 | 0.4 | 0.1 | -0.9 | 0.2 | -0.2 |
| 2004 | 1.2 | 0.1 | 0.5 | -0.5 | -0.1 | 0.6 | 0.5 | 0.8 | -0.5 | 0.3 | 0 | -0.7 | 2.2 |
| 2005 | 0.7 | -0.2 | 0.9 | 0.1 | 0.9 | 0.4 | 0.1 | 0.4 | -0.2 | -0.2 | -0.1 | -0.1 | 2.7 |
| 2006 | -0.3 | -0.1 | 0.3 | 0.3 | 1.8 | 0 | 0.8 | 0.1 | 0.1 | 0.3 | 0.4 | 0.6 | 4.5 |
| 2007 | 0.3 | -0.2 | -0.1 | 0.4 | -0.4 | 1.2 | -0.3 | 0.9 | -0.3 | -1 | 0.5 | 1.5 | 2.3 |
| 2008 | -0.3 | -2.7 | 0.3 | -0.2 | -1.1 | -0.4 | 0 | 0 | 5 | -1.3 | -1 | -0.3 | -2.3 |
| 2009 | 0.2 | -0.7 | -1.7 | -0.9 | -2.3 | -0.1 | -0.6 | 0.2 | -0.4 | -0.8 | -0.5 | -0.3 | -7.6 |
| 2010 | 0.1 | 0 | 0.6 | 0.1 | 0.4 | 0 | -0.1 | -0.3 | 0.5 | 0.1 | -1.9 | 1.9 | 1.4 |
| 2011 | 0.2 | 0.1 | 0 | 0.2 | 0.1 | 0.9 | 1.8 | -0.2 | 0.8 | 0.3 | -0.1 | -0.5 | 3.6 |
| 2012 | 0.5 | 0.8 | 0.1 | 0.7 | 0.6 | 1.1 | 0.1 | -0.1 | 1.2 | 0 | 0.1 | 0.4 | 5.7 |
| 2013 | 0.5 | 0.6 | -0.1 | 0.3 | -1.9 | 0.5 | -0.6 | -0.4 | 0.4 | -0.9 | 0 | -0.1 | -1.7 |
| 2014 | 0.9 | 0.1 | -0.5 | 0.4 | -0.1 | 0 | 0 | -0.1 | 0.7 | -0.2 | 0.4 | -0.3 | 1.4 |
| 2015 | 0.2 | 0.3 | 0.1 | -0.5 | 0.7 | 0.3 | 0.5 | 0.3 | 0.4 | 0.1 | 0.3 | 0.1 | 2.9 |
| 2016 | 0.6 | 0.3 | 0 | 0.3 | 1.2 | 0.6 | -0.1 | -0.3 | -0.1 | -0.2 | -1 | 0.7 | 2.1 |
| 2017 | -0.1 | -0.4 | -0.1 | -0.1 | -0.3 | 0.2 | 1.3 | 0.1 | 0 | -0.1 | 0.3 | 0.5 | 1.4 |
| 2018 | -0.1 | -0.1 | 0.4 | 0.4 | 0.4 | 0.9 | 0.4 | 0.3 | 0.1 | -0.7 | -0.1 | 0.6 | 2.8 |
| 2019 | 0.1 | 0 | 0.3 | 0.6 | 0.1 | 0.5 | 0.4 | 0.1 | 1 | -0.1 | -0.4 | 0.7 | 3.2 |
| 2020 | 0.4 | -2.2 | -2.8 | 0.6 | 0.2 | 0.9 | 1 | 0.4 | 0.4 | -0.2 | -1 | -0.3 | -2.6 |
| 2021 | 0.2 | 1.1 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.2 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
